Logo
Munich Personal RePEc Archive

Quasifiltering for time-series modeling

Tsyplakov, Alexander (2015): Quasifiltering for time-series modeling.

[thumbnail of MPRA_paper_66453.pdf]
Preview
PDF
MPRA_paper_66453.pdf

Download (588kB) | Preview

Abstract

In the paper a method for constructing new varieties of time-series models is proposed. The idea is to start from an unobserved components model in a state-space form and use it as an inspiration for development of another time-series model, in which time-varying underlying variables are directly observed. The goal is to replace a state-space model with an intractable likelihood function by another model, for which the likelihood function can be written in a closed form. If state transition equation of the parent state-space model is linear Gaussian, then the resulting model would belong to the class of score driven model (aka GAS, DCS).

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.